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Estimation of integrated volatility in continuous-time financial models with applications to goodness-of-fit testing

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  • Holger Dette, Fakultät Für Mathematik, Denmark
  • Mark Podolskij
  • Mathias Vetter, Fakultät Für Mathematik, Germany
Original languageEnglish
JournalScandinavian Journal of Statistics
Pages (from-to)259-278
Number of pages20
Publication statusPublished - 1 Jun 2006
Externally publishedYes

    Research areas

  • Continuous-time financial model, Delta-method, Diffusion process, Estimation of integrated volatility, Heteroscedasticity, Model diagnostics, Parametric bootstrap, Pseudo residuals

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